Yes, I've been boating for more years that I want to admit, and that's the way a bilge pump is supposed to work. When you say the battery in the off position, I'm assuming you mean the ignition off.
The idea of a bilge pump is to protect the boat at all times, not only when the engine is running. I have always hooked up the bilge pump to the positive on the battery (with a fuse), or the positive battery buss. If you leave your boat in the water for extended periods of time you will want to use a battery maintainer (trickle charge), plugged into shore power, or a solar battery maintainer.
Lou